BPCE_PILLAR_III_2017

CREDIT RISK Detailed quantitative disclosures

12/31/2017

Original gross on- balance- sheet expos- ures

Value adjust- ments and prov- isions

Off- balance- sheet exposures pre-CCF

EAD post CRM and post CCF

Average CCF

Average PD

Average

RWA density

Expected loss

PD range

LGD RWAs

in millions of euros CORPORATES – O/W SMES

0.00 to< 0.15 414 0.15 to< 0.25 808 0.25 to < 0.50 2,212 0.50 to< 0.75 1,209

132 78% 689 0.11% 42% 155 23% 0 209 87% 605 0.23% 42% 233 38% 1 898 65% 2,671 0.43% 42% 1,236 46% 5 533 53% 1,404 0.64% 43% 850 61% 4

-

-

0

0 0.75 to< 2.50 5,318 1,993 62% 6,311 1.30% 42% 4,655 74% 35 1 2.50 to < 10.00 6,243 2,141 60% 7,210 4.17% 43% 7,323 102% 129 8 10.00 to < 100.00 887 266 51% 1,066 15.38% 43% 1,645 154% 70 38 100.00 (default) 801 370 32% 883 - - 378 491 0.00 to< 0.15 1,937 1,004 73% 3,091 0.06% 45% 684 22% 1 1 0.15 to< 0.25 2,290 686 65% 2,408 0.20% 44% 1,104 46% 2 0 0.25 to< 0.50 2,128 1,258 69% 2,970 0.37% 44% 1,842 62% 5 0 0.50 to< 0.75 1,837 418 73% 2,095 0.60% 44% 1,650 79% 6 0 0.75 to< 2.50 5,647 1,639 70% 6,653 1.30% 43% 6,749 101% 37 2 2.50 to < 10.00 3,850 1,044 73% 4,463 4.21% 43% 6,385 143% 81 8 10.00 to < 100.00 7,598 303 71% 7,866 2.16% 45% 4,890 62% 74 24 100.00 (default) 1,586 303 70% 1,759 3 0% 790 869 17,892 6,541 60% 20,838 2.85% 43% 16,098 77% 622 539

5

Subtotal

CORPORATES – O/W OTHER

Subtotal

26,874 6,655 71% 31,306 1.60% 44% 23,300 74% 995 905

0.00 to< 0.15 335

-

-

335

-

-

1,083 324% 5 1 286% 0 267 287% 1 20 324% 0 90 351% 0 140 271% 1

-

EQUITY EXPOSURES

0.15 to< 0.25 0.25 to< 0.50 0.50 to< 0.75 0.75 to< 2.50 2.50 to< 10.00

0

- - -

- - -

0

-

-

-

93

93

-

-

-

6

6

-

-

-

25 52

1 100% 26

-

-

-

-

-

52

-

-

-

10.00 to < 100.00 12,813 173 100% 12,731

-

- 42,452 333% 192

5

100.00 (default)

-

-

-

-

-

-

-

Subtotal

13,324 174 100% 13,243

-

- 44,052 333% 199

5

TOTALF-IRB

146,548 14,880 68% 156,002 0.76% 44% 85,572 55% 1,840 1,467

TOTAL

586,397 102,035 58% 645,136 1.39% 23% 180,550 28% 9,680 8,976

119

Risk Report Pillar III 2017

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